Suppose Johnson & Johnson and the Walgreen Company have the expected returns and volatilities shown below, with a correlation of 22.7%.

E[R] SD[R]

Johnson & Johnson 7.9% 15.5%

Walgreen Company 10.1% 20.1%

For a portfolio that is equally invested in Johnson & Johnson's and Walgreen's stock, calculate:

a. The expected return.

b. The volatility (standard deviation).